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1、CFAInstituteCharteredFinancialAnalystExamination2017LevelIIIMorningSessionEssayGuidelineAnswersThefollowingisprovidedforinformationalpurposesonlyandmaynotbeusedinanycommercialmannerwithoutpriorwrittenpermissionfromCFAInstitute.2017CFAInstitute.AllRightsReserved.Question:#1Topic:AlternativeInvestment
2、sMinutes:19ReadingReferences:#24-AlternativeInvestmentsPortfolioManagementbyJotK.Yau,PhD,CFA,ThomasSchneeweis,PhD,ThomasR.Robinson,PhD,CFA,andLisaR.Weiss,CFA.2016LevelII-#30-Equity一ReturnConceptsbyJeraldE.Pinto,PhD,CFA,ElaineHenry,PhD,CFA,ThomasR.Robinson,PhD,CFAandJohnD.Stowe,PhD,CFA.2016LevelII-#4
3、2-APrimeronCommodityInvestingbyFrankJ.Fabozzi,PhD,CPA,CFA,RolandFuss,PhD,andDieterG.KaiserPhD1.OS:#24:Thecandidateshouldbeableto:a.describecommonfeaturesofalternativeinvestmentsandtheirmarketsandhowalternativeinvestmentsmaybegroupedbytheroletheytypicallyplayinaportfolio;b.explainandjustifythemajordu
4、ediligencecheckpointsinvolvedinselectingactivemanagersofalternativeinvestments;c.explaindistinctiveissuesthatalternativeinvestmentsraiseforinvestmentadvisersofprivatewealthclients;d.distinguishamongtheprincipalclassesofalternativeinvestments,includingrealestate,privateequity,commodityinvestments,hed
5、gefunds,managedfutures,buyoutfunds,infrastructurefunds,anddistressedsecurities;ediscusstheconstructionandinterpretationofbenchmarksandtheproblemOfbenchmarkbiasinalternativeinvestmentgroups;evaluatethereturnenhancementand/orriskdiversificationeffectsofaddinganalternativeinvestmenttoareferenceportfoli
6、o(forexample,aportfolioinvestedsolelyincommonequityandbonds);g.describeadvantagesanddisadvantagesofdirectequityinvestmentsinrealestate;h.discussthemajorissuersandsuppliersofventurecapital,thestagesthroughwhichprivatecompaniespass(seedstagethroughexit),thecharacteristicsourcesoffinancingateachstage,a
7、ndthepurposeofsuchfinancing;pareventurecapitalfundsandbuyoutfunds;j.discusstheuseofconvertiblepreferredstockindirectventurecapitalinvcsncnt;k.explainthetypicalstructureofaprivateequityfund,includingthecompensationtothefbndssponsor(generalpartner)andtypicaltimelines;1.discussissuesthatmustbeaddressed
8、informulatingaprivateequityinvestmentstrategy;pareindirectanddirectcommodityinvestment;n.explainthethreecomponentsofreturnforacommodityfuturescontractandtheeffectthatanupward-ordownward-slopingtermstructureoffuturespriceswillhaveonrollyield;o.describetheprincipalrolessuggestedforcommoditiesinaportfo
9、lioandexplainwhysomecommodityclassesmayprovideabetterhedgeagainstinflationthanothers;p.identifyandexplainthestyleclassificationofahedgefund,givenadescriptionofitsinvestmentstrategy;q.discussthetypicalstructureofahedgefund,includingthefeestructure,andexplaintherationaleforhigh-watermarkprovisions;r.d
10、escribethepurposeandcharacteristicsoffund-of-ftndshedgefunds;s.discussconcernsinvolvedinhedgefundperformanceevaluation;t.describetradingstrategiesofmanagedfuturesprogramsandtheroleofmanagedfuturesinaportfolio;u.describestrategicsandrisksassociatedwithinvestingindistressedsecurities;v.explaineventris
11、k,marketliquidityrisk,marketrisk,and,J-factorriskinrelationtoinvestingindistressedsecurities.2016LevelII-#30:Thecandidateshouldbeableto:a.distinguishamongrealizedholdingperiodreturn,expectedholdingperiodreturn,requiredreturn,returnfromconvergenceofpricetointrinsicvalue,discountrate,andinternalrateof
12、return;b.calculateandinterpretanequityriskpremiumusinghistoricalandforward-lookingestimationapproaches;c.estimatetherequiredreturnonanequityinvestmentusingthecapitalassetpricingmodel,theFama-Frenchmodel,thePastor-Stambaughmodel,macroeconomicmultifactormodels,andthebuild-upmethod(e.g.,bondyieldplusri
13、skpremium);d.explainbetaestimationforpubliccompanies,thinlytradedpubliccompanies,andnonpubliccompanies;e.describestrengthsandweaknessesofmethodsusedtoestimatetherequiredreturnonanequityinvestment;explaininternationalconsiderationsinrequiredreturnestimation;g.explainandcalculatetheweightedaveragecost
14、ofcapitalforacompany;h.evaluatetheappropriatenessofusingaparticularrateofreturnasadiscountrate,givenadescriptionofthecashflowtobediscountedandotherrelevantfacts.2016LevelII-#42:Thecandidateshouldbeableto:a.describetypesofmarketparticipantsincommodityfuturesmarkets;b.explainstorabilityandrenewability
15、inthecontextofcommoditiesanddeterminewhetheracommodityisstorableand/orrenewable;c.explaintheconvenienceyieldandhowitrelatestothestock(inventorylevel)ofacommodity;d.distinguishamongcapitalassets,storc-of-valucassets,andconsumableortransferableassetsandexplainimplicationsforvaluation;parewaysofpartici
16、patingincommoditymarkets,includingadvantagesanddisadvantagesofeach;explainbackwardationandcontangointermsofspotandfuturesprices;g.describethecomponentsofreturntoacommodityfuturesandaportfolioofcommodityfutures;h.explainhowthesigiloftherollreturndependsonthetermstructureoffuturesprices;paretheinsuran
17、ceperspective,thehedgingpressurehypothesis,andthetheoryofstorageandtheirimplicationsforfuturespricesandexpectedfuturespotprices.Answer QuestionI-Aon This PageCalculate,fortheAugustcontract,the:(seei.andii.below)Showyourcalculations.Thereturnonacommodityfuturescontracthasthreecomponents:spotreturn,co
18、llateralreturn,androllreturn.Thespotreturniscalculatedasthechangeinthespotpriceoftheunderlyingcommodityoverthespecifiedtimeperiod.Totalreturn=Rollreturn+Spotreturn+Collateralreturn=(Changeinfuturesprice-Changeinspotprice)+Changeinspotprice+Collateralreturn=Changeinfuturesprice+Collateralreturni.coll
19、ateralreturn(inUSD)inFebruary.Collateralreturnisderivedfromtheassumptionthatthefullvalueoftheunderlyingfuturescontractisinvestedtearntherisk-freeinterestrate.Thatis,aninvestorlongafuturescontractposts100percentmarginintheformofT-bills(insuchacase,thefuturespositionissaidtobefullycollateralized).Coll
20、ateralreturn=Totalreturn-Changeinfuturesprice=USD18.00-(USD533.50-USD518.50)=USD3.00Rollreturnarisesfromrollinglongfuturespositionsforwardthroughtime.ii.rollreturn(inUSD)inFebruary.Rollreturn=Changeinfuturesprice-Changeinspotprice=(USD533.50-USD518.50)-USD6.25=USD8.75Answer QuestionI-Bon This PageDe
21、terminethemostlikelyshapeofthenickelfuturescurve,givenBrunnersproposedscenario,(circleone)contangoflatbackwardationI cannot be deteinedJustifyyourresponse.(Note:Interestratesandthespotpriceremainunchanged.)Theshapeofthefuturescurvecannotbedetermined.Adecreaseinconvenienceyieldmovesthecurveintocontan
22、go,whileadecreaseincostofstoragemovesthecurveintobackwardation.Hence,thetotalimpactofthetwofactorsonthecurveshapecannotbedctcined,asitdependsonwhichofthetwochangesisgreaterinmagnitude.Underthecost-of-carrymodel,thefuturespriceisdefinedby=(+-)(-)where:isthecurrentspotprice.istherisk-freerate.isthecos
23、tofstorage.istheconvenienceyield.isthetimetomaturityofthecontract.DecreasesinCandyhaveopposingeffectsonthefuturesprice(F).AnswerQuestionI-ConThisPageChangeDeterminethemostlikelyeffectofeachchangeonthefund,sreportedSharperatio,(circleone)Justifyeachresponse.(Note:Considereachchangeindependently.)TheS
24、harpeRatioiscalculatedas:=whereistheannualizedfundreturn,istherisk-freeDecreaserateandistheannualizedfundstandarddeviation(orvolatility).Change1nochangeCommoditiesthattradeinfrequentlyoftenhavestalepriceswhichreducethevolatilityofthefund,thereforeincreasingtheSharperatio.Also,theresultingilliquidity
25、premiumincreasestherateofreturnofthefund,thusincreasingtheSharpeRatio.jncreaseTheSharpcRatioiscalculatedas:Decrease=,whereistheannualizedfundreturn,istherisk-frccrateandistheannualizedfundstandarddeviation(orvolatility)*Change2nochangeShorteningthereturns9measurementintervaltypicallyresultsinahigher
26、estimateofvolatilityofthefund,thusdecreasingtheSharpcRatio.increaseAnswer QuestionI-Don This PageDiscusstwoweaknessesofusingthisbenchmarktomeasuretheperfbanceofMatterhorn*shedgefund.Thereturndatabaseusedtoconstructtheindexisself-reportedbecauseitincludesonlymanagerswhoelecttoreporttheirreturnsandhol
27、dings.Theuseofmanager-basedhedgefundindicesinperformanceappraisalisbasedonthepremisethattheindicesneutrallyreflecttheunderlyingperformanceofthestrategy.ThisshouldbeimportanttoMatterhorn,asitiscompensatedbasedonitsperformanceagainstthisindex.ASelnreportedindexisnotlikelytoneutrallyreflecttheunderlyin
28、gperformanceofthestrategy;ifanything,managerswithbettertrackrecordsmaybemorelikelytoreporttheirreturns,whichwouldbiasindexreturnsupward.Aself-reportedindexmayalsosufferfrominconsistentreportingbythecomponentmanagersovertime.Becauseindexweightsarcbasedoneachmanagersassetsundermanagement,theindexisval
29、ue-weighted(ratherthanequal-weightedorsomeothermethod).Valueweightingmayresultinaparticularindextakingonthereturncharacteristicsofthebest-perfbninghedgefundsinaparticulartimeperiod:astopperformingfundsgrowfromnewinflowsandhighreturnsandpoorlyperformingfundsareclosed,thetop-pcrfbrmingftmdsrepresentan
30、increasingshareoftheindex.ThiscouldcreateamomentumCflfcCtinindexreturns,whichcouldmaketheindexdifficulttotrack.Asmanagersenterandexitthebusinessovertime,thecompositionoftheindexwillalsochange.Asaresult,despitethefactthatMatterhom,sbenchmarkindexisconstructedtoavoidtheissuesofsurvivorshipbiasandbackf
31、illbias,thepastreturnsoftheindexreflecttheperformanceofadifferentsetofmanagersfromtoday,sortomorrowsmanagers.Thismayalsobeamoresevereproblemforvalue-weightedindicesthanforequal-weightedindicesbecausevalue-weightedindicesarcmoreheavilyweightedintherecentbest-performingfunds.Theindexisnotatrulyvalue-w
32、eightedindex.Theindexweightsarcbasedonmanagersassetsundermanagement,butareonlyrebalancedannually.Atruevalue-weightedindexsweightswouldrebalanceautomaticallybasedonreportedassetsundermanagement,notannually.Question:#2Topic:InstitutionalPMMinutes:22ReadingReferences:#13-ManagingInstitutionalInvestorPo
33、rtfoliosbyR.CharlesTschampion,CFA,LaurenceB.Siegel,DeanJ.Takahashi,andJohnL.Maginn,CFA#14-LinkingPensionLiabilitiestoAssetsbyAaronMeder,FSA,CFA,andRenatoStaub,PhD1.OS:#13-Thecandidateshouldbeableto:a.contrastadefined-benefitplantoadefined-contributionplananddiscusstheadvantagesanddisadvantagesofeach
34、fromtheperspectivesoftheemployeeandtheemployer;bdiscussinvestmentobjectivesandconstraintsfordefined-benefitplans;c.evaluatepensionfundrisktolerancewhenriskisconsideredfromtheperspectiveofthe1)plansurplus,2)sponsorfinancialstatusandprofitability,3)sponsorandpensionfundcommonriskexposures,4)planfeatur
35、es,and5)workforcecharacteristics;d.prepareaninvestmentpolicystatementforadcfincd-bcncfitplan;e.evaluatetheriskmanagementconsiderationsininvestingpensionplanassets;f.prepareaninvestmentpolicystatementforaparticipantdirecteddefined-contributionplan;g.discusshybridpensionplans(e.g.,cashbalanceplans)and
36、employeestockownershipplans;h.distinguishamongvarioustypesoffoundations,withrespecttotheirdescription,purpose,andsourceoffunds;paretheinvcsncntobjectivesandconstraintsoffoundations,endowments,insurancecompanies,andbanks;j.discussthefactorsthatdeterineinvestmentpolicyforpensionfunds,foundationendowme
37、nts,lifeandnonlifeinsurancecompanies,andbanks;k.prepareaninvestmentpolicystatementforafoundation,anendowment,aninsurancecompany,andabank;1.contrastinvestmentcompanies,commoditypools,andhedgefundstoothertypesofinstitutionalinvestors;paretheasset/liabilitymanagementneedsofpensionfunds,foundations,endo
38、wments,insurancecompanies,andbanks;paretheinvestmentobjectivesandconstraintsofinstitutionalinvestorsgivenrelevantdata,suchasdescriptionsoftheirfinancialcircumstancesandattitudestowardrisk.#14-Thecandidateshouldbeableto:a.contrasttheassumptionsconcerningpensionliabilityriskinasset-onlyandliability-re
39、lativeapproachestoassetallocation;b.discussthefundamentalandeconomicexposuresofpensionliabilitiesandidentifyassettypesthatmimictheseIiabiliKexposures;parepensionportfoliosbuiltfromatraditionalasset-onlyperspectivetoportfoliosdesignedrelativetoliabilitiesanddiscusswhycorporationsmaychoosenottoimpleme
40、ntfullytheliabilitymimickingportfolio.AnswerQuestiononThisPageDiscuss,foreachofthefollowing,twofactorsthatindicatetheMarvelplanhasa:(Note:RestatingCaSefactsWithCUtadditionalSUPPUrtWiIlOotreceiveCreditJi. low ability to take risk.1.TheMarvelplaniscurrentlyunderfunded.(TheprojectedbenefitobligationofV
41、CU900millionexceedstheassetsofVCU800million).Additionally,Marvcsobjectiveforeachannualplancontributiontobelowerthanthatyearsincreaseinaccruedbenefitswillleadtofurtherunderfunding.Thisindicatesalowabilitytotakerisk.Althoughanunderfundedplanmayincreasetheplansponsor,swillingnesstotakeriskinanattemptto
42、maketheplanfullyfunded,anunderfundedplanhaslessabilitytotakeriskbecauseafundingshortfallalreadyexists.Lowornegativeinvestmentreturnscouldfurtherjeopardizecoverageofplanliabilities.2.Theplanoffersanearlyretirementoptiontoemployees.Employeesmayelecttoretireandbeginreceivingtheirbenefitsstartingatage57
43、.Thisoptionincreasestheliquidityrequirementandreducesthedurationofplanliabilities.Ashorterdurationofplanliabilitiesimpliesalowabilitytotakerisk,aslesstimeisavailablefortheplantorecoverfromanyunfavorableinvestmentresults.1.Theplanhasarelativelyhighproportionofactivelives(75%,comparedto60%fortheaverag
44、ecompany).Ahigherproportionofactivelives(lowerproportionofretiredlives)impliesalongerdurationofplanliabilitiesandlowerliquidityneeds,allelseequal.This,inturn,impliesahighabilitytotakerisk,astheplanhasmoretimetorecoverfromanyunfavorableinvestmentresults.ii.highabilitytotakerisk.2.TheMarvelplan,srelat
45、ivelylowdcbt-to-cquityratio(30%,comparedto45%foritspeers)indicatesithasahighabilitytotakerisk.TheMarvelplanhasanobligationtomakeongoingcontributionstoitspensionplan,particularlybecauseitiscurrentlyunderfunded.Thecompany,sabove-peerfinancialstrengthimprovesitsabilitytomakesuchcontributionswhenneeded(
46、asanexample,inthecaseofunfavorableinvestmentreturnsintheplanportfolio).AnswerQuestiononThisPageDeterminewhichscenariowouldmostlikelyshortentheMarvelplan,stimehorizon,(circleone)12叵4Justifyyourresponse.Scenario3wouldshortentheplanstimehorizon.Whenapensionplanisopentonewparticipants,theplanstimehorizo
47、nislonger.Therefore,implementingahiringfreezewouldclosetheplantonewparticipantsduringthattime,andthuswouldshortenitstimehorizon.Thebenefitobligationtocurrentparticipantswouldremain,butduringthehiringfreeze,therewouldnolongerbenewentrantswhoseeffectwouldhavebeentoextendthetimehorizonofthebenefitliabi
48、lityfartherintothefuture.Scenarios1and2wouldhavenoeffectontheplan,stimehorizon(thesescenarioswould,however,changethedurationoftheplan,sliabilities).Thediscountrateforplanliabilitiesisusedincalculatingtheplan,sfundedstatus;adecrease(increase)inthisratewouldincrease(decrease)theplantsprojectedbenefitobligationandwouldthusmakeitappearmore(less)underfunded.Scenario4wouldlengthen,notshorten,theplan,stimehorizon.Pr
